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[amibroker] Re: Anyone have a positive Sharpe Ratio for system?



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If I'm correct, my understanding of correlation is if set at period 21
it only compares today with a bar 21 bars back.  I wanted every bar
checked from -21 to today so I entered:

Periods1=Ref(C,-1)AND Ref(C,-2) AND Ref(C,-3)AND Ref(C,-4)AND
Ref(C,-5) AND Ref(C,-6);

Periods2=Ref(C,-13) AND Ref(C,-14)AND Ref(C,-15)AND Ref(C,-16)AND
Ref(C,-17)AND Ref(C,-18);

R1=Correlation(P,C,Periods1)^2;
R2=Correlation(P,C,Periods2)^2; 

Naturally it didn't like it.  Is there a way I could have every bar
compared for the periods set?

TIA,

Dominick







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